Related papers: Local law for eigenvalues of random Hermitian matr…
Consider an n x n Hermitian random matrix with, above the diagonal, independent entries with alpha-stable symmetric distribution and 0 < alpha < 2. We establish new bounds on the rate of convergence of the empirical spectral distribution of…
These expository notes are centered around the circular law theorem, which states that the empirical spectral distribution of a nxn random matrix with i.i.d. entries of variance 1/n tends to the uniform law on the unit disc of the complex…
We continue investigations of our previous papers, in which there were proved central limit theorems (CLT) for linear eigenvalue statistics Tr f(M_n) and there were found the limiting probability laws for the normalised matrix elements of…
In this paper, we prove a universality result of convergence for a bivariate random process defined by the eigenvectors of a sample covariance matrix. Let $V_n=(v_{ij})_{i \leq n,\, j\leq m}$ be a $n\times m$ random matrix, where $(n/m)\to…
In this paper, we study the effect of sparsity on the appearance of outliers in the semi-circular law. Let $(W_n)_{n=1}^\infty$ be a sequence of random symmetric matrices such that each $W_n$ is $n\times n$ with i.i.d entries above and on…
For an $n \times n$ independent-entry random matrix $X_n$ with eigenvalues $\lambda_1, \ldots, \lambda_n$, the seminal work of Rider and Silverstein asserts that the fluctuations of the linear eigenvalue statistics $\sum_{i=1}^n…
It is shown that certain ensembles of random matrices with entries that vanish outside a band around the diagonal satisfy a localization condition on the resolvent which guarantees that eigenvectors have strong overlap with a vanishing…
The model of heavy Wigner matrices generalizes the classical ensemble of Wigner matrices: the sub-diagonal entries are independent, identically distributed along to and out of the diagonal, and the moments its entries are of order 1/N,…
We derive a multiplication law for free non-hermitian random matrices allowing for an easy reconstruction of the two-dimensional eigenvalue distribution of the product ensemble from the characteristics of the individual ensembles. We define…
We prove the Central Limit Theorem for finite-dimensional vectors of linear eigenvalue statistics of submatrices of Wigner random matrices under the assumption that test functions are sufficiently smooth. We connect the asymptotic…
For a sufficiently nice 2 dimensional shape, we define its approximating matrix (or patterned matrix) as a random matrix with iid entries arranged according to a given pattern. For large approximating matrices, we observe that the…
A recursive method is derived to calculate all eigenvalue correlation functions of a random hermitian matrix in the large size limit, and after smoothing of the short scale oscillations. The property that the two-point function is…
We consider the deformed Gaussian Ensemble $H_n=M_n+H^{(0)}_n$ in which $H_n^{(0)}$ is a diagonal Hermitian matrix and $M_n$ is the Gaussian Unitary Ensemble (GUE) random matrix. Assuming that the Normalized Counting Measure of $H_n^{(0)}$…
It is well known that the spectral measure of eigenvalues of a rescaled square non-Hermitian random matrix with independent entries satisfies the circular law. We consider the product $TX$, where $T$ is a deterministic $N\times M$ matrix…
We study the eigenvalues of non-normal square matrices of the form A_n=U_nT_nV_n with U_n,V_n independent Haar distributed on the unitary group and T_n real diagonal. We show that when the empirical measure of the eigenvalues of T_n…
We prove universality of local eigenvalue statistics in the bulk of the spectrum for orthogonal invariant matrix models with real analytic potentials with one interval limiting spectrum. Our starting point is the Tracy-Widom formula for the…
For fixed $m>1$, we consider $m$ independent $n \times n$ non-Hermitian random matrices $X_1, ..., X_m$ with i.i.d. centered entries with a finite $(2+\eta)$-th moment, $ \eta>0.$ As $n$ tends to infinity, we show that the empirical…
We show that the distribution of (a suitable rescaling of) a single eigenvalue gap $\lambda_{i+1}(M_n)-\lambda_i(M_n)$ of a random Wigner matrix ensemble in the bulk is asymptotically given by the Gaudin-Mehta distribution, if the Wigner…
The theory of random matrices contains many central limit theorems. We have central limit theorems for eigenvalues statistics, for the log-determinant and log-permanent, for limiting distribution of individual eigenvalues in the bulk, and…
We consider $n\times n$ Hermitian matrices with i.i.d. entries $X_{ij}$ whose tail probabilities $\mathbb {P}(|X_{ij}|\geq t)$ behave like $e^{-at^{\alpha}}$ for some $a>0$ and $\alpha \in(0,2)$. We establish a large deviation principle for…